Volatility transmission in regional Asian stock markets

Qaisar Abbas, Sabeen Khan, Syed Zulfiqar Ali Shah

Research output: Contribution to journalArticlepeer-review

55 Citations (Scopus)


This study aims to investigate the presence of volatility transmission among regional equity markets of Pakistan, China, India, and Sri Lanka. Moreover for developed countries, the stock indices of USA, UK, Singapore, and Japan have been considered. If countries of the same region have a long run relationship then chances of an optimum currency area increases whereas, a diversification strategy to reduce risk is not workable. Results among the developed and Asian countries show that volatility transmission is present between friendly countries of different regions with economic links. We also find some evidence of transmission of volatility between countries which are on unfriendly terms.

Original languageEnglish
Pages (from-to)66-77
Number of pages12
JournalEmerging Markets Review
Early online date9 May 2013
Publication statusPublished - 1 Sep 2013
Externally publishedYes


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